Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0271
Annualized Std Dev 0.1950
Annualized Sharpe (Rf=0%) -0.1390

Row

Daily Return Statistics

Close
Observations 5382.0000
NAs 1.0000
Minimum -0.2027
Quartile 1 -0.0046
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0049
Maximum 0.2136
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0123
Skewness -0.7818
Kurtosis 47.2343

Downside Risk

Close
Semi Deviation 0.0091
Gain Deviation 0.0094
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.7446
Historical VaR (95%) -0.0148
Historical ES (95%) -0.0289
Modified VaR (95%) -0.0111
Modified ES (95%) -0.0111
From Trough To Depth Length To Trough Recovery
2000-12-13 2008-12-15 NA -0.7446 5098 2012 NA
1999-12-01 2000-04-14 2000-11-20 -0.1553 247 95 152
2000-11-30 2000-11-30 2000-12-01 -0.0124 2 1 1
1999-11-01 1999-11-01 1999-11-02 -0.0062 2 1 1
1999-11-15 1999-11-15 1999-11-16 -0.0062 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 NA NA NA NA NA NA NA NA NA -0.6 -1.2 6.3 4.3
2000 -2.6 1.4 0 0 1.3 0 1.3 0.6 0 0 1.3 -0.6 2.6
2001 -0.3 -0.3 0.2 1.8 0.5 -1.7 0.3 0 0.5 0.6 0.9 0.4 2.8
2002 -0.4 1.1 0.7 0.3 1.1 0.9 0.4 0.3 0.6 0.2 0.8 2.4 8.7
2003 1.1 0 -0.5 0.4 1.1 0.6 1.4 -0.1 0.3 0.2 1.1 -0.3 5.4
2004 -0.5 0 -1.1 0.8 0.1 1 0.7 0.1 -0.4 0 -2.1 0.3 -1.1
2005 0.2 0.8 0.1 1.7 0.8 1.4 -0.2 -0.1 0.6 0.1 0.3 -0.1 5.6
2006 0.4 -0.3 -0.2 -0.7 -0.4 0.1 -0.1 -0.2 0.2 0.1 -0.2 0.7 -0.7
2007 0 -0.5 0.1 0.3 0.1 -0.3 -1.1 0.5 -0.2 -0.3 0.1 1.3 0.1
2008 1.7 -1 1 0.7 0.1 -0.6 0.5 -0.5 3.6 2.7 -3.9 4.5 8.8
2009 1.1 3.8 2.2 3 -0.7 1.7 -1 -0.6 -1.2 -1.2 1.4 0.7 9.6
2010 -0.4 1.6 1 -0.4 0.7 0.1 1 -0.1 1.8 1.4 1.7 0.8 9.6
2011 0.4 0.8 0.1 -1.3 0.7 0.1 2 2.5 1.7 0 0 -0.5 6.6
2012 -1.1 3.5 0.4 1.1 -0.4 -0.7 -0.1 0.3 1.2 1.6 -0.5 0.3 5.5
2013 0 1.7 0.4 0.1 -0.6 -1.3 -0.5 0.1 -0.6 -0.8 0.7 0.1 -0.7
2014 0.3 0.6 0.3 -0.1 0.4 -1.3 0 -0.1 -0.1 0.7 -1.5 1.6 0.6
2015 -0.2 0.2 0.5 0.1 -0.4 1.2 0.5 -1 -1.2 -0.5 0 0.5 -0.3
2016 0.5 1.9 -0.7 0.7 0.5 0 -1.1 -0.2 0.9 -1.2 1.1 0.3 2.7
2017 1 -0.1 -1.2 -0.3 0.3 1.2 -0.9 0.2 0.5 -0.4 0.9 -0.3 0.8
2018 0 0 0.3 0.6 0 -0.5 0.2 0 0 -0.2 -0.2 0.5 0.8
2019 -0.2 -0.5 1.2 0.7 -2 -0.5 -0.2 0.4 -0.2 -0.2 0 0.3 -1.2
2020 -1.2 -3.3 -5 -1.6 1.5 0.4 -0.4 1 0.8 -1.5 1.8 -0.6 -7.8
2021 1.5 0 0.7 NA NA NA NA NA NA NA NA NA 2.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-10-27  10   SPY    130.  0.0181   0.0146   0.0139  -0.0319       NA       NA       NA <NA>     NA    NA       NA
2 1999-10-28  10   SPY    135.  0.0341   0.0431   0.0611   0.0137       NA       NA       NA <NA>     NA    NA       NA
3 1999-10-29  10.1 SPY    137   0.0181   0.0531   0.0641   0.0296       NA       NA       NA <NA>     NA    NA       NA
4 1999-11-01  10   SPY    136. -0.0105   0.0473   0.0552   0.0236       NA       NA       NA <NA>     NA    NA       NA
5 1999-11-02  10.1 SPY    135. -0.0071   0.0531   0.0294   0.0304       NA       NA       NA <NA>     NA    NA       NA
6 1999-11-03  10.1 SPY    136.  0.0067   0.0413   0.0373   0.028        NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart